CumulativeNormalDistribution (3) Linux Manual Page
QuantLib::CumulativeNormalDistribution – Cumulative normal distribution function.
Synopsis
#include <ql/math/distributions/normaldistribution.hpp>Inherits std::unary_function<Real,Real>.
Public Member Functions
CumulativeNormalDistribution (Real average=0.0, Real sigma=1.0)Real operator() (Real x) const
Real derivative (Real x) const
Detailed Description
Cumulative normal distribution function.Given x it provides an approximation to the integral of the gaussian normal distribution: formula here …
For this implementation see M. Abramowitz and I. Stegun, Handbook of Mathematical Functions, Dover Publications, New York (1972)